Online Appendix to Should the Social Security Trust Fund hold Equities? An Intergenerational Welfare Analysis
In a stochastic economy with overlapping generations, fiscal policy affects the allocation of aggregate risks. The paper shows how to compute the welfare effects of marginal policy changes that shift risk across cohorts, in general and for an application to social security equity investments. I estimate the relevant correlations between macroeconomic shocks and equity returns from 1874-1996 U.S. data, calibrate the model, and find positive welfare effects for equity investments. Since stock returns are positively correlated with social security's wage-indexed benefit obligations, equity investments would also help to stabilize the payroll tax rate. (Copyright: Academic Press)
|Date of creation:||Jul 1999|
|Date of revision:|
|Note:||The original article was published in the Review of Economic Dynamics, volume 2 (July 1999), pages 666-697|
|Contact details of provider:|| Postal: |
Web page: http://www.EconomicDynamics.org/red/
More information through EDIRC
|Order Information:|| Web: https://www.economicdynamics.org/subscription-information/ Email: |
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Baxter, M. & Jermann, U.J., 1993.
"The International Diversification Puzzle is Worse than you Think,"
RCER Working Papers
350, University of Rochester - Center for Economic Research (RCER).
- Baxter, Marianne & Jermann, Urban J, 1997. "The International Diversification Puzzle Is Worse Than You Think," American Economic Review, American Economic Association, vol. 87(1), pages 170-80, March.
- Marianne Baxter & Urban J. Jermann, 1995. "The International Diversification Puzzle is Worse Than You Think," NBER Working Papers 5019, National Bureau of Economic Research, Inc.
- Roger H. Gordon & Hal R. Varian, 1985.
"Intergenerational Risk Sharing,"
NBER Working Papers
1730, National Bureau of Economic Research, Inc.
- Campbell, John & Viceira, Luis, 1999.
"Consumption and Portfolio Decisions When Expected Returns are Time Varying,"
3163266, Harvard University Department of Economics.
- John Y. Campbell & Luis M. Viceira, 1998. "Consumption and Portfolio Decisions When Expected Returns Are Time Varying," Harvard Institute of Economic Research Working Papers 1835, Harvard - Institute of Economic Research.
- John Y. Campbell & Luis M. Viceira, 1996. "Consumption and Portfolio Decisions When Expected Returns are Time Varying," NBER Working Papers 5857, National Bureau of Economic Research, Inc.
- Enders, Walter & Lapan, Harvey E, 1982.
"Social Security Taxation and Intergenerational Risk Sharing,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 23(3), pages 647-58, October.
- Enders, Walter & Lapan, Harvey E., 1982. "Social Security Taxation and Inter-Generational Risk Sharing," Staff General Research Papers 10822, Iowa State University, Department of Economics.
- Philippe Weil, 1989.
"The Equity Premium Puzzle and the Riskfree Rate Puzzle,"
NBER Working Papers
2829, National Bureau of Economic Research, Inc.
- Weil, Philippe, 1989. "The equity premium puzzle and the risk-free rate puzzle," Journal of Monetary Economics, Elsevier, vol. 24(3), pages 401-421, November.
- Phillippe Weil, 1997. "The Equity Premium Puzzle and the Risk-Free Rate Puzzle," Levine's Working Paper Archive 1833, David K. Levine.
- King, Robert G & Plosser, Charles I & Rebelo, Sergio T, 2002.
"Production, Growth and Business Cycles: Technical Appendix,"
Society for Computational Economics, vol. 20(1-2), pages 87-116, October.
- John Y. Campbell & Luis M. Viceira, 1999. "Consumption and Portfolio Decisions when Expected Returns are Time Varying," The Quarterly Journal of Economics, Oxford University Press, vol. 114(2), pages 433-495.
- Mehra, Rajnish & Prescott, Edward C., 1985.
"The equity premium: A puzzle,"
Journal of Monetary Economics,
Elsevier, vol. 15(2), pages 145-161, March.
When requesting a correction, please mention this item's handle: RePEc:red:append:bohn99. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann)
If references are entirely missing, you can add them using this form.